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Report NEP-MST-2017-02-19
This is the archive for NEP-MST, a report on new working papers in the area of Market Microstructure. Thanos Verousis issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- Marios Panayides & Barbara Rindi & Ingrid M. Werner, 2017, "Trading Fees and Intermarket Competition," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 595.
- Martin Theissen & Sebastian M. Krause & Thomas Guhr, 2017, "Regularities and Irregularities in Order Flow Data," Papers, arXiv.org, number 1702.04289, Feb.
- Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2017, "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 4/2017.
- Iacopo Mastromatteo & Michael Benzaquen & Zoltan Eisler & Jean-Philippe Bouchaud, 2017, "Trading Lightly: Cross-Impact and Optimal Portfolio Execution," Papers, arXiv.org, number 1702.03838, Feb, revised Aug 2017.
- Joshua C. Hall & Serkan Karadas & Minh Tam T. Schlosky, 2016, "Abnormal Returns from Joining Congress? Evidence from New Members," Working Papers, Department of Economics, West Virginia University, number 16-25, Dec.
- Knapik, Oskar & Exterkate, Peter, 2017, "A regime-switching stochastic volatility model for forecasting electricity prices," Working Papers, University of Sydney, School of Economics, number 2017-02, Feb.
- Rudik, Ivan, 2016, "Tradable Credit Markets for Intensity Standards," ISU General Staff Papers, Iowa State University, Department of Economics, number 201602020800001013, Feb.
- Takahiro Omi & Yoshito Hirata & Kazuyuki Aihara, 2017, "Hawkes process model with a time-dependent background rate and its application to high-frequency financial data," Papers, arXiv.org, number 1702.04443, Feb, revised Jul 2017.
- Peter Chinloy & William D. Larson, 2017, "The Daily Microstructure of the Housing Market," FHFA Staff Working Papers, Federal Housing Finance Agency, number 17-01, Feb.